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The market liquidity timing skills of debt-oriented hedge funds

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journal contribution
posted on 13.05.2016, 10:35 by Baibing LiBaibing Li, Ji Luo, Kai-Hong TeeKai-Hong Tee
We investigate the liquidity timing skills of debt-oriented hedge funds following the 2008 credit crisis, which demonstrated the importance of understanding liquidity conditions to manage the market exposure of investments. We base the analysis on the estimated co-movements of fixed income and equity market liquidity. Our findings, which are statistically robust, show evidence of liquidity timing ability in the fixed income market for all debt-oriented hedge fund strategy categories. Joint market liquidity timing skill, however, is only found in some categories. Our findings suggest that debt-oriented hedge fund managers use a sophisticated set of timing strategies in their investment managements.

History

School

  • Business and Economics

Department

  • Business

Published in

European Financial Management

Volume

23

Issue

1

Pages

32-54

Citation

LI, B., LUO, J. and TEE, K-H., 2016. The market liquidity timing skills of debt-oriented hedge funds. European Financial Management, 23 (1), pp.32-54.

Publisher

© Wiley

Version

AM (Accepted Manuscript)

Publisher statement

This work is made available according to the conditions of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) licence. Full details of this licence are available at: https://creativecommons.org/licenses/by-nc-nd/4.0/

Publication date

2016-03-21

Notes

This is the peer reviewed version of the following article: LI, B., LUO, J. and TEE, K-H., 2016. The market liquidity timing skills of debt-oriented hedge funds. European Financial Management, 23 (1), pp.32-54., which has been published in final form at http://dx.doi.org/10.1111/eufm.12090. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.

ISSN

1354-7798

eISSN

1468-036X

Language

en